Technical Analysis Profitability Without Data Snooping Bias: Evidence from Chinese Stock Market1. (2nd November 2017)

• Record Type: Journal Article
• Authors: Jiang, Fuwei; Tong, Guoshi; Song, Guokai
• Is Part Of: International review of finance. Volume 19:Number 1(2019:Mar.)
• Page Start: 191
• Page End: 206
• Publication Date: 2017-11-02
• Subjects: Finance -- Periodicals; Financial institutions -- Periodicals; 332.673
• DOI: 10.1111/irfi.12161
• Languages: English
• ISSNs: 1369-412X

Abstract

Abstract: We perform a comprehensive analysis on the profitability of a large number of technical analysis based trading rules in Chinese stock market. To counter data snooping bias, we employ a stepwise superior predictive ability test to identify genuinely profitable trading rules among more than 28, 000 technical signals. Using 19 years of daily data on Chinese aggregate stock market return, we find substantial evidence on the profitability of technical trading rules measured by either the market timing ability or Sharpe ratio gain. Our results on the profitability of technical rules hold during different subperiods and remain valid under the presence of transaction costs.